This study presents a pension model geared to the typical pension contract in the Netherlands. It is based on a defined benefit/average earnings pension system. Nominal benefits are guaranteed and indexation is intended. The model provides a framework for analysing adjustments to such factors as...

Market valuation is becoming more and more popular, both in accounting and regulation, as well as in academic circles. For pension funds and their participants, the knowledge that market-valued pension liabilities can indeed be transferred to a third party, if necessary, is a great virtue. Using...

This study presents a pension model geared to the typical pension contract in the Netherlands. It is based on a defined benefit/average earnings pension system. Nominal benefits are guaranteed and indexation is intended. The model provides a framework for analysing adjustments to such factors as...

The next tool for social science experimentation should allow for macro level, generalizable, scientific research. In the past devices such as rat mazes, Petri dishes and supercolliders have been developed when scientists needed new tools to do research. We believe that Virtual Worlds are the...

We propose a general robust semiparametric bootstrap method to estimate conditional predictive distributions of GARCH-type models. Our approach is based on a robust estimator for the parameters in GARCH-type models and a robustified resampling method for standardized GARCH residuals, which...

This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice of the robustness tuning constants; describes the unconditional, independence and conditional coverage tests for VaR forecast evaluation; provides additional Monte Carlo...

The next tool for social science experimentation should allow for macro level, generalizable, scientific research. In the past devices such as rat mazes, Petri dishes and supercolliders have been developed when scientists needed new tools to do research. We believe that Virtual Worlds are the...

The next tool for social science experimentation should allow for macro level, generalizable, scientific research. In the past devices such as rat mazes, Petri dishes and supercolliders have been developed when scientists needed new tools to do research. We believe that Virtual Worlds are the...

We propose a novel ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods. The ranking model develops a unified framework which penalizes excessive capital allocation, autocorrelation of violations...

We investigate capital requirements based on Value at Risk (V@R) and Average Value at Risk (AV@R) when the bank's econometric model only approximately describes the true, unknown return generating process, as is often the case in practice. We provide a simple formula for such capital...